Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 05 (1D) Nov 06 (2D) Nov 07 (3D) Nov 10 (6D) Nov 11 (7D) Nov 12 (8D) Nov 13 (9D) Nov 14 (10D) Nov 17 (13D) Nov 18 (14D) Nov 21 (17D) Nov 28 (24D) Dec 05 (31D) Dec 12 (38D) Dec 19 (45D) Dec 26 (52D)
lower 671.828 669.152 667.098 662.462 661.194 660.014 658.905 657.857 654.992 654.113 651.648 646.635 642.313 638.458 634.944 631.695
upper 684.752 687.428 689.482 694.118 695.386 696.566 697.675 698.723 701.588 702.467 704.932 709.945 714.267 718.122 721.636 724.885
expected move 6.462 9.138 11.192 15.828 17.096 18.276 19.385 20.433 23.298 24.177 26.642 31.655 35.977 39.832 43.346 46.595
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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